Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0267
Annualized Std Dev 0.1396
Annualized Sharpe (Rf=0%) 0.1912

Row

Daily Return Statistics

Close
Observations 4694.0000
NAs 1.0000
Minimum -0.0667
Quartile 1 -0.0049
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0052
Maximum 0.0752
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0088
Skewness 0.0660
Kurtosis 4.6083

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0059
Loss Deviation 0.0059
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0062
Downside Deviation (0%) 0.0062
Maximum Drawdown 0.2846
Historical VaR (95%) -0.0139
Historical ES (95%) -0.0193
Modified VaR (95%) -0.0133
Modified ES (95%) -0.0199
From Trough To Depth Length To Trough Recovery
2008-12-22 2010-04-05 2011-09-22 -0.2846 694 322 372
2012-07-26 2013-12-27 2015-01-14 -0.2296 621 358 263
2016-07-11 2018-11-02 2019-08-14 -0.2201 780 586 194
2020-08-05 2021-03-18 NA -0.2194 158 156 NA
2003-06-16 2004-05-13 2008-03-20 -0.1701 1200 231 969

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA 0.6 0.6 -1.6 -0.9 0.6 -0.8 -1.4
2003 0.3 0.6 -0.7 -0.5 -0.2 -0.9 -0.5 -0.2 -0.8 0.9 -1 -0.5 -3.5
2004 0.7 -0.4 -0.7 0.4 -1.3 -0.2 1.2 -0.3 -0.9 -1 -0.6 0.2 -2.9
2005 -0.5 -0.3 0 -0.2 0.9 -1.6 -0.7 -0.9 -0.3 -0.6 -0.6 -0.2 -5.1
2006 -0.7 -1 0 -1.1 0 1 -0.4 -0.4 -0.1 0.2 -0.1 -0.1 -2.7
2007 -0.5 -0.5 -0.2 -0.3 -0.9 1 -0.6 0.1 0.2 0.9 -0.5 0.6 -0.7
2008 0.3 1.5 -2 -0.4 0.7 -0.6 -0.1 -0.4 0.9 -1.3 3.5 -2.1 -0.2
2009 -0.3 -0.6 0.6 -1 -3.3 -0.5 1.9 -0.6 1.1 1.5 -1.4 -0.5 -3.1
2010 -1.3 -0.4 -0.6 1.2 0.4 -0.1 1.6 -2.4 -0.9 -0.7 -2.6 1.1 -4.7
2011 -0.8 0 0.1 0.3 1 -0.5 0.7 1.8 2.5 3.1 -0.7 0.3 7.8
2012 -1.4 -1.2 -1.7 -0.8 2.2 -1.3 -0.7 1.4 0.2 -0.8 -0.3 -1.7 -6
2013 -1.5 0.3 0.5 0.8 -0.3 0 -2.2 -0.1 -0.6 -1.3 0 -0.6 -4.9
2014 0.7 0.1 -1.1 0.8 0 -1.1 0.5 0.1 1.7 -0.3 -0.8 0.2 0.7
2015 1.8 0.8 1.1 -1.5 -1.3 -1.6 0.7 0.5 0.2 0.8 1.1 0.4 3.1
2016 -0.5 -1.9 0.1 0.3 0.2 1.2 -1.3 -0.1 -0.9 -0.2 -1.3 0.2 -4.2
2017 -0.8 -1.9 0.3 -1 -0.2 -0.2 0.5 -1 0.2 0.2 1.1 0.2 -2.6
2018 -1.7 0.5 0.5 -0.6 -0.8 -0.3 -1 -0.2 -1 -0.1 0.4 0.4 -3.9
2019 -0.8 -1.1 -1.6 0.2 1.3 -0.4 1.8 0 0.1 -0.5 -0.2 -1 -2.3
2020 0.9 2.3 1.3 0.7 -0.8 -0.3 -0.1 1 0.1 -1 -1.6 0.1 2.6
2021 0 -1.4 0.6 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart